Capsaicin is an active compound in hot chili pepper that possesses many beneficial biological properties. However, sensorial attributes and sensitivity to environmental and food processing conditions can affect their stability, which could be restricted by encapsulation. In this study, electrospun zein fibers loaded with different concentrations of capsaicin (0.1%–0.4%) were evaluated in terms of encapsulation efficiency, morphology, and antioxidant activity. Nano-sized fibers were obtained with an encapsulation efficiency of 45.73%–93.11%, exhibiting a smooth surface and cylindrical morphology. The capsaicin-loaded zein fibers showed antioxidant activity in the range of 60%–68%. An optimum concentration of 0.24% capsaicin was selected for zein nanofibers. The release from the zein nanostructure in the food simulants followed Fickian transport. The interactions of capsaicin with zein were characterized by frequency shifts of the complex spectra. Thermogravimetric and thermal stability tests showed that capsaicin loss decreased following encapsulation in the electrospun zein mat. The thermal stability of encapsulated capsaicin increased more than 50% at 90 °C in comparison with free capsaicin. The nanofibers showed higher antimicrobial activity against Staphylococcus aureus than Pseudomonas aeruginosa and then Escherichia coli. Overall, zein acted as a good wall material for the encapsulation of capsaicin via electrospinning, extending the applications of capsaicin in foods and therapeutics.